financial risk fitness gmbh

Landsberger Straße 98 - D-80339 Munich
Phone +49 89 46139112 - www.financial-risk-fitness.com

Introduction to Market Risk

  • Capital Markets Products: Cash & Derivative Instruments
  • Introduction to Derivative Pricing Models & Hedge Parameters
  • Market Risk Models: Delta/ Normal, Delta/Gamma, Historical Simulations, Monte Carlo Simulations
  • Interpolating & Bootstrapping Term Structures of Rates and Volatilities
  • Interest Rate, FX and Liquidity Risk in Treasury Banking Books

Advanced Market Risk

  • Internal CAD Models: the road to regulatory acceptance
  • Incremental Deafult Risk and Event Risk in Internal Models
  • Enhancing Utility of VAR based Market Risk Models: using Internal Models as trading support tools
  • Stress Testing VAR Models
  • VAR Sensitivities to Risk Factors
  • Measuring Risk of Correlation based Products
  • Risk of Exotic Derivatives: Barriers, Baskets, etc.
  • Bootstrapping Volatility Surfaces
  • Measuring, Monitoring & Limiting Liquidity Risk
  • Risks of Treasury Replicating Portfolios
  • Aligning Treasury Interest Rate Risk Measures: from DV01 to VAR